GDPR only covers personally identifiable data, which most of these messages are not.
And even if they contain personally identifiable data, the user would need to request the deletion of these ¨PI data from reddit. I am not sure simply deleting your messages yourself counts as requesting the deletion of personal data under GDP.
the concept of 'personal data' under GDPR is quite broad. the mere presence of a username relates those messages to a possibly identifiable person. and asking for something to be deleted is asking for it to be deleted.
And even if they contain personally identifiable data, the user would need to request the deletion of these ¨PI data from reddit. I am not sure simply deleting your messages yourself counts as requesting the deletion of personal data under GDP.